Analysis of Quantization Error in Financial Pricing via Finite Difference Methods

DOI10.1137/17M1139655zbMath1407.65099OpenAlexW2811119235WikidataQ129630493 ScholiaQ129630493MaRDI QIDQ4572020

Christina C. Christara, Nat Chun-Ho Leung

Publication date: 4 July 2018

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1139655

zbMATH Keywords

option pricingFourier analysispartial differential equationfinite difference methodsnumerical solutionconvection-diffusion equationsBlack-Scholes equationGreeksnonsmooth initial conditions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (2)

An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function ⋮ A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options

Cites Work

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